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STOCKHOLDERS’ EQUITY (Tables)
3 Months Ended
Mar. 31, 2023
Equity [Abstract]  
Fair Value Measurement Inputs and Valuation Techniques
The Black-Scholes valuation model was used to estimate the fair value of the Warrants with the following weighted-average assumptions:
December 31, 2022March 31, 2023
Volatility139.9 %159.4 %
Expected term in years2.52.5
Dividend rate0.0 %0.0 %
Risk-free interest rate4.32 %3.94 %
The Black-Scholes option-pricing model was used to estimate the fair value of the Underwriters’ Warrants with the following weighted-average assumptions:
Volatility85.0 %
Expected term in years2.5
Dividend rate0.0 %
Risk-free interest rate0.155 %
Schedule of Warrants Outstanding To Purchase Common Stock
As of March 31, 2023, Vallon had the following warrants outstanding to purchase common stock.
Number of SharesExercise Price per ShareExpiration Date
3,758$300.00February 12, 2026
24,667$28.146May 17, 2027